20 Years of Real Plan: an analysis of the relationship between exchange rate, inflation, interest rate and the Ibovespa

This article investigated the association between economic indicators (interest, inflation and exchange rates) with the Brazilian stock market (Ibovespa) in the 20-year period of the Real Plan (jul./1994 to jun./2014), which was considered by several presidential elections and the crises of Mexico, Russia and Argentina, in addition to the subprime crisis, in 2008. The Vector Autoregressive (VAR) model was used, with analysis of Impulse Response Functions (IRF), Variance Decomposition Analysis (VDC) and Error Correction Model (VECM). The results show that there is causality between the economic variables and the Ibovespa in the predictive sense of the index. It was verified that the model with VECM has greater regressive power for the Ibovespa series when compared to the VAR model, showing that the series analyzed are cointegrated and that there is a strong negative correlation between the exchange rate and the Ibovespa.